I got a visa in Madrid a few years back on the way down. Stay at the campsite out near the airport, catch the subway into town and it's just around the corner from one of the stations.
Staff were unhelpful as I spoke nothing useful, I had to get a letter from the NZ embassy (we actually had one in Madrid!) but they gave one easily enough the next day - it could have been the same day if I had got there early enough.
Madrid is vaguely on the way down and worth a couple of nights if your on a longer trip...
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